The role of spatial and temporal structure for residential rent predictions

Item Type Journal paper
Abstract

This paper examines the predictive power of five linear hedonic pricing models for the residential market with varying levels of complexity in their spatial and temporal structures. Unlike similar studies, we extend the out-of-sample forecast evaluation to one-day-ahead predictions with a rolling estimation window, which is a reasonable setting for many practical applications. We show that the in-sample fit and cross-validation prediction accuracy improve significantly when we account for spatial heterogeneity. In particular, for one-day-ahead forecasts, the spatiotemporal autoregressive (STAR) model demonstrates its superiority over model specifications with alternating spatial and temporal heterogeneity and dependence structures. In addition, sub-market fixed effects, constructed on the basis of statistical TREE methods, improve the results of predefined local rental markets further.

Authors Füss, Roland & Koller, Jan
Journal or Publication Title International Journal of Forecasting
Language English
Subjects business studies
economics
finance
Institute/School s/bf - Swiss Institute of Banking and Finance
SEW - Swiss Institute for Empirical Economic Research
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HSG Classification contribution to scientific community
Refereed No
Date October 2016
Publisher Elsevier B.V.
Volume 32
Number 4
Page Range 1352-1368
ISSN-Digital http://dx.doi.org/10.1016/j.ijforecast.2016.06.001
Publisher DOI 10.1016/j.ijforecast.2016.06.001
Official URL http://dx.doi.org/10.1016/j.ijforecast.2016.06.001
Contact Email Address roland.fuess@unisg.ch
Depositing User Beatrix Kobelt-Glock
Date Deposited 17 Nov 2016 13:22
Last Modified 17 Feb 2018 01:21
URI: https://www.alexandria.unisg.ch/publications/249711

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Citation

Füss, Roland & Koller, Jan (2016) The role of spatial and temporal structure for residential rent predictions. International Journal of Forecasting, 32 (4). 1352-1368.

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https://www.alexandria.unisg.ch/id/eprint/249711
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